On the Bootstrap of the Maximum Score Estimator

This paper shows that the bootstrap does not consistently estimate the asymptotic distribution of the maximum score estimator. The theory developed also applies to other estimators within a cube-root convergence class. For some single-parameter estimators in this class, the results suggest a simple...

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Veröffentlicht in:	Econometrica 2005-07, Vol.73 (4), p.1175-1204
Hauptverfasser:	Abrevaya, Jason, Huang, Jian
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications bootstrap Bootstrap mechanism Brownian motion Consistent estimators cube-root asymptotics Distribution functions Distribution theory Econometric models Econometrics Empirical research Estimation Estimation methods Estimators Exact sciences and technology Inference Insurance, economics, finance Interval estimators Mathematical methods Mathematics Maximum score estimation Model testing Nonparametric inference Objective functions Parametric inference Perceptron convergence procedure Probability and statistics Random variables Sciences and techniques of general use Statistical methods Statistics
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Beschreibung
Zusammenfassung:	This paper shows that the bootstrap does not consistently estimate the asymptotic distribution of the maximum score estimator. The theory developed also applies to other estimators within a cube-root convergence class. For some single-parameter estimators in this class, the results suggest a simple method for inference based upon the bootstrap.
ISSN:	0012-9682 1468-0262
DOI:	10.1111/j.1468-0262.2005.00613.x